PhDr. Jiří Kukačka

Photo

Position: Ph.D. Candidate
Field of interest: Financial Econometrics, Quantitative Finance, Computational and Agent-Based Simulations, Heterogeneous Agent Models, Behavioral Finance, Financial Market Crashes
Membership: Center for Doctoral Studies, Internal, Macroeconomics and Econometrics, PhD Candidates

Contact

Office: 602 IES, 247 ÚTIA
Email: jiri.kukacka@gmail.com
Phone: +420 602 767 305
Personal web pages: http://www.linkedin.com/in/jirikukacka
Available: upon request via email above, please

More information

Assistant

JEM116 - Applied Econometrics
JEB110 - Econometrics II

PhD study

Tutor: PhDr. Jozef Baruník Ph.D., ČEZ Chair

Studying from: 2011
PhDr examination: 03/2012
Final exam: 01/2014
Dissertation Proposal defence: expected 2015
Dissertation defence:

Current work:
Non-Parametric Simulated ML Estimation of Parameters in Heterogeneous Agent Models
See my Personal RePEc webpage

Dissertation topic:
Empirical Validation of Heterogeneous Agent Models

Disertation abstract:
Topic Characteristics:
In recent academic financial literature, the Representative Agent Approach and the Efficient Market Hypothesis, which dominated the field in the past, are being replaced by more realistic agent based computational approaches. My dissertation research will concur the topic of my Master Thesis and will focus on a subset of models of this kind, the Heterogeneous Agent Models, HAMs henceforth. The crucial idea of all HAMs is the abandonment of agents' full rationality towards bounded, limited rationality. HAMs employ interacting groups of boundedly rational heterogeneous agents using simple but reasonable heuristics or rules of thumb to model the financial world and this methodology appears very successful in replicating observed stylized facts in financial time series (e.g. excess trading volume, heavy tails, volatility clustering and others). Moreover, HAM methodology is able to produce models which are, considering the inner logic of economic modelling, much closer to the real world then the 'efficient' models can ever be. In my opinion, this is one of the intrinsic goals economics aspire to achieve and therefore I find this particular research direction and effort markedly purposeful.

Research Outline:
The outline of my dissertation research and effort is as follows. Considering HAM methodology, I plan to follow the Brock & Hommes (1998), Hommes (2006) and Hommes & Wagener (2009) approach and its extensions, which I got familiar with during the work on my Master Thesis. As only the most simple HAMs appear analytically tractable, it is inevitable to employ the computational simulations approach. For this purpose, I plan to work in the Wolfram Mathematica environment and develop and debug algorithms for empirical validation of a particular HAM design. As even one single particular theoretical HAM design offers almost infinite number of different possible settings, my effort will be heading towards the ultimate goal of a reasonably realistic, but computationally feasible model, i.e. a model with reasonably larger number of both agents and strategies, but consuming (form the computational point of view) only the rational amount of time. The combination of empirical estimation and trial and error calibration of key parameters needs to be employed. Therefore, at the moment, the multidimensional grid search in connection with usual statistical and econometric tools of data analysis seems to be the optimal possible approach.

See more, please, in my Individual Study Plan and annual updates at the bottom of this page.

Optional courses:
2013/14 SS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
2013/14 WS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
2013 (July): 4th Summer School of the European Social Simulation Association (Hamburg)
2013 (June): WEHIA 2013 PhD School (Reykjavik)
2012/13 SS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
2012/13 WS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
2011/12 SS: AAEM - Alternative Approaches to Economic Modeling
2011/12 WS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications

CV

Organisation Memberships

Society for Economic Science with Heterogeneous Interacting Agents, Society for Computational Economics, DYME – Dynamic Models in Economics (Excellence Project of GAČR)

Education

2011+: Ph.D., Economics, Charles University in Prague
2012: PhDr. (M.Phil. equivalent), Economics, Charles University in Prague
2008 - 2011: Mgr. (M.A. equivalent), Economics, Charles University in Prague
2008 - 2009: University of Bath, School of Management, United Kingdom
2005 - 2008: Bc. (B.A. equivalent), Economic Theories, Charles University in Prague

Job history

Academic Staff:
2013+: Member of the Center for Doctoral Studies & Department of Macroeconomics and Econometrics, IES FSV UK

Research Assistant:
2013+: Academy of Sciences of the Czech Republic, Institute of Information Theory and Automation (UTIA), Department of Econometrics

Teaching Assistant IES FSV UK:
2013/14 SS: JEM116 - Applied Econometrics
2013/14 WS: JEB110 - Econometrics II
2012/13 SS: JEM116 - Applied Econometrics
2012/13 WS: JEB110 - Econometrics II
2011/12 SS: JEM116 - Applied Econometrics
2011/12 WS: JEB110 - Econometrics II

2009: National Economic Council (NERV), assistant to Professor Ing. Michal Mejstrik, CSc., economic analyses of particular financial topics during the preparation of the National Crisis Packet

Extra activities

2014+: Academic Senator, Pedagogic Chamber, AS FSV UK (member of the Economic and Legislative Committee)
2013+: Member of the Disciplinary Committee FSV UK (alternate)
Refereeing: Czech Journal of Economics and Finance, Prague Economic Papers
2007 - 2012: E-klub IES FSV UK
2009 - 2011: Charles University International Club

Awards and prizes

Golden Course Teaching Award (best master level economic course) for Applied Econometrics (with doc. Horvath, Dr. Barunik, and Dr. Baxa), 2012
Dean's Award for an extraordinarily good masters diploma thesis, 2011
RWE Scholarship 2009 - 2011
Dean's Award for an excellent Final State Exam performance and for an extraordinarily good bachelors diploma thesis, 2008

Topics for supervision

Bachelor theses

No more students acceptable for academic year 2014/2015.

Students are welcome to contact me via email and consult the supervision of Bachelor theses related to fields of my research interest:

- topics on Heterogeneous Agent Modeling (HAM) in Finance, e.g. analysis of the HAM with asynchronous updating, merging HAM with the Prospect Theory, sensitivity analysis of HAMs, see a video about the HAM topic
- topics on Behavioural Finance (or here), see videos about the BF topic here and here
- topics on Agent-Based Modeling (ABM) in Finance
- topics on Corporate Social Responsibility (CSR) - econometric approach, empirical validation, see videos about the CSR topic and CSV topic
- Bitcoin phenomena, its crash of 2013/04/11, and the bubble of November 2013 - econometric analysis, see video What is Bitcoin and some market charts

Currently supervising 4 bachelor thesis at IES FSV UK:
Filip Staněk: Impact of the Tobin tax in a heterogeneous agent model of foreign exchange market
Jan Polách: A Prospect-Theoretical Agent-based Model with Asynchronous Updating
Pavel Fišer: Bitcoin phenomena, its crash of 2013/04/11, and the bubble of november 2013 - econometric analysis
Michal Bureš: Agent-based model of sofware pricing strategies

Master theses

No more students acceptable for academic year 2014/2015.

Students are welcome to contact me via email and consult the supervision of Master theses related to fields of my research interest:

- topics on Heterogeneous Agent Modeling (HAM) in Finance, e.g. analysis of the HAM with asynchronous updating, merging HAM with the Prospect Theory, sensitivity analysis of HAMs, see a video about the HAM topic
- topics on Agent-Based Modeling (ABM) in Finance

Downloadable

Academic CV (April 2014)
How to get Mathematica at IES
Latsis Workshop 2012 poster
Ph.D. documents